Relatório Gamma Diário - 2026-02-03

Índice

1. Resumo Executivo

1.1 Simulação de Valor Justo (Cenário: Alvo na Call Wall)

Estimativa de preço das opções caso o mercado atinja a Call Wall hoje (mantendo IV constante).

Strike Call (Agora) Call (Simul) Var% Call Put (Agora) Put (Simul) Var% Put
5150.00 173.73 180.13 3.7% 12.87 11.77 -8.5%
5292.50 74.03 78.25 5.7% 55.16 51.88 -6.0%
5300.00 70.06 74.14 5.8% 58.67 55.24 -5.8%

2. Tabela Detalhada (Fig 3)

3. Comparativo de Modelos Flip/Delta

4. Análise Detalhada de Estrutura

Visualização focada em Delta Agregado, Gamma Flip e Walls.

5. Código NTSL (ProfitChart)

Copie o código abaixo e cole no Editor de Estratégias do ProfitChart.

// NTSL Indicator - Edi OpenInterest Levels - 03/02/2026 08:21
// Gerado Automaticamente

const
  clCallWall = clBlue;
  clPutWall = clRed;
  clGammaFlip = clFuchsia;
  clDeltaFlip = clYellow;
  clRangeHigh = clLime;
  clRangeLow = clRed;
  clMaxPain = clPurple;
  clExpMove = clWhite;
  clEdiWall = clSilver;
  clEffectiveWall = clAqua;
  clFib = clYellow;
  TamanhoFonte = 8;

input
  ExibirWalls(true);
  ExibirFlips(true);
  ExibirRange(true);
  ExibirMaxPain(true);
  ExibirExpMoves(true);
  ExibirEdiWall(true);
  ExibirEffectiveWalls(true);
  MostrarPLUS(true);
  MostrarPLUS2(true);
  ExibirMelhoresPontos(false);
  ModeloFlip(7);
  spot(0);
  // 1 = Classic (5398.55)
  // 2 = Spline (5390.59)
  // 3 = HVL (5332.14)
  // 4 = HVL Log (5207.31)
  // 5 = Sigma Kernel (5204.06)
  // 6 = PVOP (5398.55)
  // 7 = HVL Gaussian (5417.30)

var
  GammaVal: Float;

begin
  // Inicializa GammaVal com o primeiro disponivel por seguranca
  GammaVal := 5398.55;

  if (ModeloFlip = 1) then GammaVal := 5398.55;
  if (ModeloFlip = 2) then GammaVal := 5390.59;
  if (ModeloFlip = 3) then GammaVal := 5332.14;
  if (ModeloFlip = 4) then GammaVal := 5207.31;
  if (ModeloFlip = 5) then GammaVal := 5204.06;
  if (ModeloFlip = 6) then GammaVal := 5398.55;
  if (ModeloFlip = 7) then GammaVal := 5417.30;

  // --- Linhas Principais (Com Intercalação de Texto) ---
  if (ExibirWalls) then
    HorizontalLineCustom(5150.00, clPutWall, 1, psDash, "PutWall", TamanhoFonte, tpTopLeft, 0, 0);
  if (ExibirEffectiveWalls) then
    HorizontalLineCustom(5150.00, clEffectiveWall, 2, psDashDot, "Edi Effective Put", TamanhoFonte, tpTopRight, 0, 0);
  if (ExibirWalls) then
    HorizontalLineCustom(5200.00, clPutWall, 1, psDash, "PutWall", TamanhoFonte, tpTopLeft, 0, 0);
  if (ExibirMaxPain) then
    HorizontalLineCustom(5200.00, clMaxPain, 2, psSolid, "Edi_MaxPain", TamanhoFonte, tpTopRight, CurrentDate, 0);
  if (ExibirRange) then
    HorizontalLineCustom(5254.53, clRangeLow, 1, psDot, "Edi_Range", TamanhoFonte, tpTopRight, 0, 0);
  if (ExibirExpMoves) then
    HorizontalLineCustom(5254.53, clExpMove, 1, psDot, "Edi_ExpMove", TamanhoFonte, tpBottomRight, CurrentDate, 0);
  if (ExibirWalls) then
    HorizontalLineCustom(5300.00, clCallWall, 1, psDash, "CallWall", TamanhoFonte, tpTopLeft, 0, 0);
  if (ExibirEffectiveWalls) then
    HorizontalLineCustom(5300.00, clEffectiveWall, 2, psDashDot, "Edi Effective Call", TamanhoFonte, tpTopRight, 0, 0);
  if (ExibirRange) then
    HorizontalLineCustom(5330.47, clRangeHigh, 1, psDot, "Edi_Range", TamanhoFonte, tpTopRight, 0, 0);
  if (ExibirExpMoves) then
    HorizontalLineCustom(5330.47, clExpMove, 1, psDot, "Edi_ExpMove", TamanhoFonte, tpBottomRight, CurrentDate, 0);
  if (ExibirWalls) then
    HorizontalLineCustom(5350.00, clCallWall, 1, psDash, "CallWall", TamanhoFonte, tpTopLeft, 0, 0);
  if (ExibirWalls) then
    HorizontalLineCustom(5450.00, clCallWall, 1, psDash, "CallWall", TamanhoFonte, tpTopLeft, 0, 0);
  if (ExibirWalls) then
    HorizontalLineCustom(5500.00, clCallWall, 1, psDash, "CallWall", TamanhoFonte, tpTopLeft, 0, 0);
  if (ExibirWalls) then
    HorizontalLineCustom(5600.00, clCallWall, 1, psDash, "CallWall", TamanhoFonte, tpTopLeft, 0, 0);

  // Flips (Dinâmicos)
  if (ExibirFlips) then begin
    if (GammaVal > 0) then
      HorizontalLineCustom(GammaVal, clGammaFlip, 2, psDash, "Edi_GammaFlip", TamanhoFonte, tpTopRight, CurrentDate, 0);
    if (5245.07 > 0) then
      HorizontalLineCustom(5245.07, clDeltaFlip, 2, psDash, "Edi_DeltaFlip", TamanhoFonte, tpTopRight, CurrentDate, 0);
  end;

  // Edi_Wall (Midpoints) - Grid Completo
  if (ExibirEdiWall) then begin
    HorizontalLineCustom(5175.00, clEdiWall, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5250.00, clEdiWall, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5325.00, clEdiWall, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5400.00, clEdiWall, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5475.00, clEdiWall, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5550.00, clEdiWall, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
  end;

  if (MostrarPLUS) then begin
    HorizontalLineCustom(5169.10, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5180.90, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5238.20, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5261.80, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5319.10, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5330.90, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5388.20, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5411.80, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5469.10, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5480.90, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5538.20, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5561.80, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
  end;

  if (MostrarPLUS2) then begin
    HorizontalLineCustom(5161.80, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5188.20, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5223.60, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5276.40, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5311.80, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5338.20, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5373.60, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5426.40, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5461.80, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5488.20, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5523.60, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
    HorizontalLineCustom(5576.40, clFib, 1, psDash, "Edi_Wall", TamanhoFonte, tpTopLeft, CurrentDate, 0);
  end;

  if (ExibirMelhoresPontos and LastBarOnChart) then
  begin
    HorizontalLineCustom(5300.44, clRed, 1, psDash, "Edi_Wall_Venda", TamanhoFonte, tpTopRight, CurrentDate, CurrentTime, 0.1);
    HorizontalLineCustom(5284.56, clLime, 1, psDash, "Edi_Wall_Compra", TamanhoFonte, tpTopRight, CurrentDate, CurrentTime, 0.1);
    HorizontalLineCustom(5308.38, clRed, 1, psDash, "Edi_Wall_MelhorVenda", TamanhoFonte, tpTopRight, CurrentDate, CurrentTime, 0.3);
    HorizontalLineCustom(5276.62, clLime, 1, psDash, "Edi_Wall_MelhorCompra", TamanhoFonte, tpTopRight, CurrentDate, CurrentTime, 0.3);
    HorizontalLineCustom(5323.12, clRed, 1, psDash, "Edi_Wall_MelhorVenda", TamanhoFonte, tpTopRight, CurrentDate, CurrentTime, 0.5);
    HorizontalLineCustom(5261.88, clLime, 1, psDash, "Edi_Wall_MelhorCompra", TamanhoFonte, tpTopRight, CurrentDate, CurrentTime, 0.5);
    HorizontalLineCustom(5331.06, clRed, 1, psDash, "Edi_Wall_MelhorVenda", TamanhoFonte, tpTopRight, CurrentDate, CurrentTime, 0.7);
    HorizontalLineCustom(5253.94, clLime, 1, psDash, "Edi_Wall_MelhorCompra", TamanhoFonte, tpTopRight, CurrentDate, CurrentTime, 0.7);
  end;
end;

6. Delta Agregado

7. Delta Acumulado

8. Gamma Exposure

9. Curvatura do Gamma

10. Call OI

11. Put OI

12. Charm Exposure

13. Vanna Exposure

14. Charm Acumulado

15. Vanna Acumulado

16. Vega Exposure

17. Skew IV

18. Dealer Pressure

19. Theta Exposure

20. Theta Acumulado

21. R-Gamma (PVOP)

22. R-Gamma Acumulado

23. Strikes + Midwalls + Fibo

24. Range + Walls

25. Flow Sentiment

26. Delta Flip Profile

27. Gamma Flip Analysis

28. Gamma Flip Cone

29. Max Pain Curve

30. MM Profit Sim

31. Expected Move Cone